Empirical analysis of volatility and co-movements in Serbian frontier financial market : MGARCH approach

Minović, Jelena (2010) Empirical analysis of volatility and co-movements in Serbian frontier financial market : MGARCH approach. South East European journal of economics and business, 5 (1). pp. 39-55. ISSN 1840-118X

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Abstract

This article presents an empirical calculation of volatility and co-movements for selected securities listed at the Belgrade Stock Exchange (www.belex.rs). It applied multivariate GARCH (MGARCH) models to the analysis of comovements in the Serbian frontier financial market. For the empirical work, bivariate and trivariate versions of the restricted BEKK, DVEC, and CCC models were used. Empirical results showed that MGARCH models overcome the usual concept of the time invariant correlation coefficient. Additionaly, the results show that the conditional variances and covariances between returns on the Serbian financial market exhibit significant changes over time.

Item Type: Article
Additional Information: COBISS.ID=1024374416
Uncontrolled Keywords: volatility, conditional covariance, multivariate GARCH models, maximum likelihood estimation, two-step estimation
Subjects: H Social Sciences > H Social Sciences (General)
Depositing User: Jelena Banovic
Date Deposited: 22 Sep 2016 18:29
Last Modified: 22 Sep 2016 18:29
URI: http://ebooks.ien.bg.ac.rs/id/eprint/707

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